Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Dec 12 (1D) | Dec 15 (4D) | Dec 16 (5D) | Dec 17 (6D) | Dec 18 (7D) | Dec 19 (8D) | Dec 22 (11D) | Dec 23 (12D) | Dec 24 (13D) | Dec 25 (14D) |
|---|---|---|---|---|---|---|---|---|---|---|
| lower | 683.813 | 678.456 | 677.192 | 676.049 | 674.997 | 674.019 | 671.403 | 670.613 | 669.856 | 669.127 |
| upper | 694.527 | 699.884 | 701.148 | 702.291 | 703.343 | 704.321 | 706.937 | 707.727 | 708.484 | 709.213 |
| expected move | 5.357 | 10.714 | 11.978 | 13.121 | 14.173 | 15.151 | 17.767 | 18.557 | 19.314 | 20.043 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
